Hedging with temporary price impact

DOI10.1007/s11579-016-0178-4zbMath1409.91226arXiv1510.03223WikidataQ57635840 ScholiaQ57635840MaRDI QIDQ513749

Halil Mete Soner, Peter Bank, Moritz Voß

Publication date: 7 March 2017

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.03223

zbMATH Keywords

hedging; price impact; Bachelier model; European contingent claim; illiquid markets; portfolio tracking

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

91G10: Portfolio theory

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